Consider the following situations in the market and determine whether they are consistent
with the CAPM or not.
Case 1
Asset
E(R)
Stock A
25%
beta
0.3
Stock B
15%
1.2
Asset
E(R)
Stock A
25%
SD
30%
Market Portfolio
15%
30%
Asset
E(R)
Risk-free asset
10%
SD
0%
Stock A
16%
12%
Market Portfolio
18%
24%
Case 2
Case 3
Case 4
Asset
E(R)
Risk-free asset
5%
Beta
0
Stock A
20%
1.5
Market Portfolio
15%
1
Case 5
Asset
E(R)
Real estate fund
30%
SD
35%
Private Equity Fund
40%
25%